U.S. Consumption Risk, Foreign Equity and the Euro : Evidence from the G7
We analyze an intertemporal model of investment in domestic and foreign equities and domestic bonds, and derive solutions for their respective consumption risks. Our objective is to determine whether the introduction of the Euro influenced the consumption risks of foreign investments made by U.S. investors in equity instruments that the G7 issued. We use the five-year rolling horizon VAR to estimate out-of-sample forecasts of various rates of return. We find a significant increase in U.S. consumption risk for Canada, France and Germany, but a decrease for Japan and the U.K. The Euro, therefore, has had real consequences for U.S. investors
Year of publication: |
[2022]
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Authors: | Yi, Tai David ; Yoo, Sean |
Publisher: |
[S.l.] : SSRN |
Subject: | USA | United States | Eurozone | Euro area | Euro | Schätzung | Estimation | Risiko | Risk | EU-Staaten | EU countries |
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